TODO

X Calculate 30 day volatility and add plots of it

Need to try with B = 2 as well and with leverage. Basic leverage and then some type of volatility based leverage

Try using the DAA canary portfolio with G4

Try using longer term momentum to pick which Risk On Assets to prevent so much churn…. (3+6+12)? Or 12 months? This looks like it might work, plot the values, so we can inspect, only switch assets when we clearly need to.

Same with Risk Off?

Basic Vigilant Asset Allocation test

First version is the model exactly as described on TrendExplorer this is the VAA.G4.T1.B1 model.

## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04   0   0   0   0   0   0   0 100
## 
## Performance summary :
##  CAGR    Best    Worst   
##  16.6    17.9    -8.5    
System Trade Period
Period Apr1996 - Jan2019 Win.Percent 70.9 Win.Percent.Day 67.5
Cagr 16.58 Avg.Trade 1.4 Best.Day 17.9
Sharpe 1.35 Avg.Win 2.7 Worst.Day -8.5
DVR 1.25 Avg.Loss -1.9 Win.Percent.Month 67.5
Volatility 11.91 Best.Trade 17.89 Best.Month 17.9
MaxDD -8.53 Worst.Trade -8.53 Worst.Month -8.5
AvgDD -2.8 WinLoss.Ratio 1.48 Win.Percent.Year 95.8
VaR -2.99 Avg.Len 1 Best.Year 54.1
CVaR -5.36 Num.Trades 261 Worst.Year 0.2
Exposure 95.26
Roll.TwelveM 97.7011494252874

##      Jan    Feb    Mar    Apr    May    Jun    Jul    Aug    Sep    Oct   
## 1996 "  NA" "  NA" "  NA" "  NA" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 1.0" " 4.5" " 8.0" "-5.6" " 0.8" "-3.4"
## 1998 " 1.2" "-0.3" " 5.1" " 1.0" "-1.7" " 1.4" "-0.7" " 3.2" " 3.6" "-0.8"
## 1999 " 4.2" "-3.7" " 0.7" "15.4" "-4.2" " 0.2" " 0.1" " 0.1" " 0.8" " 0.3"
## 2000 "-0.2" " 0.8" " 0.7" "-3.0" " 0.3" " 1.3" " 0.9" " 1.5" "-5.3" " 0.9"
## 2001 " 1.3" " 1.2" "-0.1" "-1.2" " 1.6" " 0.5" " 3.9" " 1.8" "-0.9" " 2.2"
## 2002 " 2.9" " 1.2" "-3.2" " 1.6" " 1.0" " 1.7" " 2.4" " 2.5" " 3.9" "-1.3"
## 2003 "-0.8" " 2.0" "-0.4" " 2.4" " 6.2" " 5.9" " 7.0" " 0.0" " 4.5" " 9.1"
## 2004 " 3.1" " 4.2" " 0.4" "-7.9" " 0.0" " 0.0" " 0.3" " 3.1" " 5.6" " 2.3"
## 2005 "-0.1" " 8.9" "-6.8" " 0.5" " 1.8" " 3.5" " 7.0" " 1.5" " 8.2" "-0.1"
## 2006 "11.6" "-2.1" " 1.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.5" " 0.2" " 3.3"
## 2007 " 0.1" "-2.3" " 2.8" " 3.8" " 3.1" " 0.5" " 0.9" " 2.3" " 9.8" "13.0"
## 2008 " 3.4" " 1.2" " 1.3" "-2.4" " 1.8" " 0.2" " 0.7" " 1.5" "-0.1" " 1.1"
## 2009 "-1.8" "-5.2" " 3.3" "-2.7" "17.9" "-2.5" "10.9" "-0.7" " 3.9" "-2.4"
## 2010 " 1.2" " 0.5" " 8.2" "-0.2" "-8.0" " 3.0" " 0.9" "-2.6" " 0.0" " 3.1"
## 2011 " 0.1" " 3.5" "-2.5" " 3.4" "-2.7" "-1.7" "-2.4" " 4.7" " 2.2" "-1.3"
## 2012 " 2.1" " 5.4" " 3.3" "-0.6" " 2.9" "-0.4" " 1.2" "-0.1" " 1.1" "-0.6"
## 2013 "-1.3" " 0.1" " 3.6" " 1.5" "-3.0" "-0.1" " 0.2" "-0.1" " 0.2" " 3.2"
## 2014 " 1.9" " 1.1" "-0.4" " 0.7" " 2.3" " 3.2" " 1.4" " 3.8" "-7.2" " 0.3"
## 2015 " 4.3" "-2.5" " 0.2" "-0.6" " 0.0" " 0.0" " 0.0" " 0.1" " 1.6" "-0.6"
## 2016 " 0.7" " 1.5" "-0.1" " 1.0" "-3.2" " 3.1" " 1.3" " 0.8" " 2.0" " 0.3"
## 2017 " 0.1" " 0.0" " 0.1" " 0.2" " 3.4" " 0.6" " 2.9" " 3.0" "-0.5" " 1.8"
## 2018 " 8.6" "-0.1" " 0.2" "-0.2" " 0.4" " 0.2" "-0.1" " 0.0" "-1.2" "-2.0"
## 2019 " 0.2" "  NA" "  NA" "  NA" "  NA" "  NA" "  NA" "  NA" "  NA" "  NA"
## Avg  " 1.9" " 0.7" " 0.8" " 0.6" " 0.9" " 1.1" " 2.1" " 1.0" " 1.5" " 1.2"
##      Nov    Dec    Year   MaxDD 
## 1996 " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.7" " 1.7" " 7.1" "-8.1"
## 1998 " 6.1" " 5.8" "26.2" "-1.7"
## 1999 " 2.0" "14.3" "32.4" "-4.2"
## 2000 " 2.2" " 2.4" " 2.1" "-5.3"
## 2001 "-2.2" "-0.3" " 7.9" "-2.5"
## 2002 "-2.1" "-2.6" " 8.0" "-5.9"
## 2003 " 1.1" " 7.8" "54.1" "-0.8"
## 2004 "10.2" " 5.3" "28.7" "-7.9"
## 2005 " 0.4" " 6.5" "34.8" "-6.8"
## 2006 " 7.3" " 4.0" "32.6" "-2.1"
## 2007 "-8.5" " 0.1" "26.7" "-8.5"
## 2008 " 1.1" " 5.2" "15.9" "-2.4"
## 2009 " 7.2" " 3.1" "32.8" "-6.9"
## 2010 "-2.8" " 6.9" " 9.7" "-8.2"
## 2011 "-0.3" " 2.0" " 4.7" "-6.6"
## 2012 " 2.7" " 4.2" "23.3" "-0.6"
## 2013 " 3.0" " 0.2" " 7.6" "-3.1"
## 2014 " 1.3" " 0.1" " 8.5" "-7.2"
## 2015 "-0.2" "-1.1" " 1.2" "-3.0"
## 2016 "-0.5" " 0.1" " 7.0" "-3.2"
## 2017 "-0.3" " 1.3" "13.3" "-0.5"
## 2018 " 0.4" " 2.8" " 8.9" "-3.3"
## 2019 "  NA" "  NA" " 0.2" " 0.0"
## Avg  " 1.2" " 3.0" "16.4" "-4.1"
symbol weight entry.date exit.date nhold entry.price exit.price return
[238,] SHY 100 2017-01-31 2017-02-28 28 82.29 82.32 0.04
[239,] VOO 100 2017-02-28 2017-03-31 31 208.93 209.21 0.13
[240,] SHY 100 2017-03-31 2017-04-28 28 82.37 82.52 0.19
[241,] VEA 100 2017-04-28 2017-05-31 33 37.99 39.28 3.41
[242,] VEA 100 2017-05-31 2017-06-30 30 39.28 39.53 0.64
[243,] VEA 100 2017-06-30 2017-07-31 31 39.53 40.67 2.88
[244,] VWO 100 2017-07-31 2017-08-31 31 41.19 42.43 3
[245,] VWO 100 2017-08-31 2017-09-29 29 42.43 42.22 -0.5
[246,] VEA 100 2017-09-29 2017-10-31 32 41.7 42.44 1.77
[247,] VWO 100 2017-10-31 2017-11-30 30 43.25 43.1 -0.34
[248,] VOO 100 2017-11-30 2017-12-29 29 237.59 240.64 1.28
[249,] VWO 100 2017-12-29 2018-01-31 33 44.7 48.52 8.56
[250,] SHY 100 2018-01-31 2018-02-28 28 82.18 82.1 -0.1
[251,] SHY 100 2018-02-28 2018-03-29 29 82.1 82.3 0.25
[252,] SHY 100 2018-03-29 2018-04-30 32 82.3 82.11 -0.23
[253,] SHY 100 2018-04-30 2018-05-31 31 82.11 82.39 0.35
[254,] IEF 100 2018-05-31 2018-06-29 29 100.87 101.07 0.2
[255,] SHY 100 2018-06-29 2018-07-31 32 82.43 82.38 -0.06
[256,] LQD 100 2018-07-31 2018-08-31 31 113.62 113.64 0.02
[257,] IEF 100 2018-08-31 2018-09-28 28 101.56 100.33 -1.21
[258,] LQD 100 2018-09-28 2018-10-31 33 113.48 111.16 -2.05
[259,] SHY 100 2018-10-31 2018-11-30 30 82.67 82.99 0.38
[260,] IEF 100 2018-11-30 2018-12-31 31 101.36 104.2 2.8
[261,] IEF 100 2018-12-31 2019-01-04 4 104.2 104.4 0.19

Now with some leverage!!

## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04   0   0   0   0   0   0   0 200
## 
## Performance summary :
##  CAGR    Best    Worst   
##  34  35.8    -17.1   
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 70.9 Win.Percent.Day 67.5
Cagr 35.77 Avg.Trade 2.8 Best.Day 35.8
Sharpe 1.35 Avg.Win 5.5 Worst.Day -17.1
DVR 1.11 Avg.Loss -3.7 Win.Percent.Month 70.6
Volatility 23.81 Best.Trade 35.78 Best.Month 35.8
MaxDD -17.05 Worst.Trade -17.05 Worst.Month -17.1
AvgDD -5.58 WinLoss.Ratio 1.48 Win.Percent.Year 95.7
VaR -5.97 Avg.Len 1 Best.Year 131.4
CVaR -10.73 Num.Trades 261 Worst.Year 0.4
Exposure 95.26
Roll.TwelveM 97.2

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  1.9" "  8.9" " 15.9" "-11.2"
## 1998 "  2.4" " -0.5" " 10.2" "  2.0" " -3.5" "  2.8" " -1.5" "  6.4"
## 1999 "  8.4" " -7.4" "  1.4" " 30.8" " -8.3" "  0.3" "  0.3" "  0.3"
## 2000 " -0.4" "  1.5" "  1.4" " -6.0" "  0.6" "  2.6" "  1.8" "  2.9"
## 2001 "  2.7" "  2.4" " -0.3" " -2.3" "  3.2" "  1.1" "  7.7" "  3.6"
## 2002 "  5.7" "  2.4" " -6.4" "  3.1" "  2.1" "  3.4" "  4.9" "  5.0"
## 2003 " -1.6" "  4.0" " -0.8" "  4.7" " 12.3" " 11.8" " 14.1" " -0.1"
## 2004 "  6.2" "  8.3" "  0.8" "-15.8" "  0.0" "  0.0" "  0.6" "  6.2"
## 2005 " -0.3" " 17.7" "-13.6" "  1.0" "  3.7" "  6.9" " 13.9" "  3.0"
## 2006 " 23.3" " -4.3" "  2.3" "  0.4" "  0.3" "  0.5" "  1.3" "  5.1"
## 2007 "  0.2" " -4.6" "  5.6" "  7.6" "  6.2" "  1.0" "  1.8" "  4.5"
## 2008 "  6.7" "  2.5" "  2.7" " -4.8" "  3.6" "  0.5" "  1.4" "  3.1"
## 2009 " -3.6" "-10.4" "  6.6" " -5.5" " 35.8" " -4.9" " 21.8" " -1.4"
## 2010 "  2.5" "  1.0" " 16.4" " -0.4" "-16.0" "  6.1" "  1.8" " -5.1"
## 2011 "  0.3" "  6.9" " -5.0" "  6.7" " -5.4" " -3.4" " -4.8" "  9.3"
## 2012 "  4.3" " 10.9" "  6.6" " -1.3" "  5.7" " -0.8" "  2.4" " -0.1"
## 2013 " -2.6" "  0.1" "  7.2" "  3.1" " -5.9" " -0.2" "  0.3" " -0.2"
## 2014 "  3.8" "  2.3" " -0.7" "  1.4" "  4.6" "  6.3" "  2.7" "  7.7"
## 2015 "  8.6" " -4.9" "  0.4" " -1.3" "  0.1" "  0.1" "  0.1" "  0.2"
## 2016 "  1.3" "  3.0" " -0.1" "  2.0" " -6.5" "  6.2" "  2.6" "  1.6"
## 2017 "  0.2" "  0.1" "  0.3" "  0.4" "  6.8" "  1.3" "  5.8" "  6.0"
## 2018 " 17.1" " -0.2" "  0.5" " -0.5" "  0.7" "  0.4" " -0.1" "  0.0"
## 2019 "  0.4" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  3.9" "  1.5" "  1.7" "  1.2" "  1.9" "  2.3" "  4.3" "  2.1"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  1.6" " -6.7" "  1.3" "  3.3" " 13.3" "-15.9"
## 1998 "  7.3" " -1.5" " 12.1" " 11.6" " 57.5" " -3.5"
## 1999 "  1.7" "  0.5" "  4.0" " 28.6" " 68.5" " -8.3"
## 2000 "-10.6" "  1.8" "  4.3" "  4.8" "  3.7" "-10.6"
## 2001 " -1.9" "  4.4" " -4.5" " -0.5" " 16.0" " -5.0"
## 2002 "  7.7" " -2.5" " -4.2" " -5.3" " 15.9" "-11.5"
## 2003 "  9.1" " 18.2" "  2.2" " 15.6" "131.4" " -1.6"
## 2004 " 11.2" "  4.6" " 20.3" " 10.7" " 61.5" "-15.8"
## 2005 " 16.5" " -0.2" "  0.8" " 13.1" " 76.7" "-13.6"
## 2006 "  0.5" "  6.5" " 14.7" "  8.0" " 72.5" " -4.3"
## 2007 " 19.7" " 26.0" "-17.1" "  0.1" " 55.0" "-17.1"
## 2008 " -0.3" "  2.2" "  2.2" " 10.3" " 33.6" " -4.8"
## 2009 "  7.9" " -4.8" " 14.4" "  6.2" " 68.3" "-13.6"
## 2010 "  0.0" "  6.2" " -5.7" " 13.8" " 17.8" "-16.4"
## 2011 "  4.5" " -2.6" " -0.6" "  4.0" "  8.8" "-13.0"
## 2012 "  2.2" " -1.1" "  5.4" "  8.5" " 50.9" " -1.3"
## 2013 "  0.4" "  6.4" "  6.0" "  0.4" " 15.2" " -6.1"
## 2014 "-14.3" "  0.5" "  2.6" "  0.3" " 16.5" "-14.3"
## 2015 "  3.2" " -1.3" " -0.3" " -2.2" "  2.0" " -6.0"
## 2016 "  4.0" "  0.6" " -0.9" "  0.1" " 14.2" " -6.5"
## 2017 " -1.0" "  3.5" " -0.7" "  2.6" " 27.8" " -1.0"
## 2018 " -2.4" " -4.1" "  0.8" "  5.6" " 17.6" " -6.5"
## 2019 "   NA" "   NA" "   NA" "   NA" "  0.4" "  0.0"
## Avg  "  3.0" "  2.6" "  2.6" "  6.3" " 36.8" " -8.5"
VOO VEA BND VWO LQD TLT SHY IEF
41.2519378 34.613736 -4.01763103 55.5252547 -2.0850810 -9.2477249 -1.7119029 -9.8782270
1.4411161 -6.129696 -5.79442673 0.8325736 -9.6170185 -16.6506651 -1.2242908 -8.4276450
-1.8040397 3.481770 0.26606960 11.4826221 -1.3618059 5.4113494 0.3462167 0.2991361
0.5011327 4.629438 -4.79170923 -10.9361755 -9.6270892 -10.2148588 -1.2249242 -7.2419672
12.6806324 -2.250500 1.90872524 -8.7316456 -0.5229469 7.7796226 1.3418315 2.1142964
10.7917823 -6.443910 -1.31090254 -26.1263588 -5.6410381 0.8941461 0.2724300 -1.0280427
21.9618618 5.058749 -0.03068122 4.1632189 4.1475849 -3.9690240 0.1900515 -1.8542549
26.2515496 -6.074573 2.83082127 -23.4719600 0.6413608 5.3073213 1.6653953 3.6709373
19.3806070 3.713579 -1.95617672 -12.2184784 0.1400336 -13.7337617 -0.1757335 -5.5221441
-20.2834946 -42.434305 -3.94243138 -46.7686752 -9.7675298 -16.5195003 1.1823202 -2.1307625
4.0609263 -12.266966 0.67987603 3.1588462 -5.5557763 -1.7784432 2.0644143 3.6413353
-44.6349654 -40.213461 8.09367151 -24.1795863 4.3604042 22.4684368 4.6658102 14.0645514
-10.3992089 -7.346528 5.07625789 -0.5459969 1.8839990 12.0256450 2.3346532 7.7205628
symbol weight entry.date exit.date nhold entry.price exit.price return
[249,] VWO 200 2017-12-29 2018-01-31 33 44.7 48.52 17.12
[250,] SHY 200 2018-01-31 2018-02-28 28 82.18 82.1 -0.2
[251,] SHY 200 2018-02-28 2018-03-29 29 82.1 82.3 0.49
[252,] SHY 200 2018-03-29 2018-04-30 32 82.3 82.11 -0.47
[253,] SHY 200 2018-04-30 2018-05-31 31 82.11 82.39 0.7
[254,] IEF 200 2018-05-31 2018-06-29 29 100.87 101.07 0.39
[255,] SHY 200 2018-06-29 2018-07-31 32 82.43 82.38 -0.12
[256,] LQD 200 2018-07-31 2018-08-31 31 113.62 113.64 0.04
[257,] IEF 200 2018-08-31 2018-09-28 28 101.56 100.33 -2.41
[258,] LQD 200 2018-09-28 2018-10-31 33 113.48 111.16 -4.1
[259,] SHY 200 2018-10-31 2018-11-30 30 82.67 82.99 0.76
[260,] IEF 200 2018-11-30 2018-12-31 31 101.36 104.2 5.61
[261,] IEF 200 2018-12-31 2019-01-04 4 104.2 104.4 0.38
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 70.9 Win.Percent.Day 67.5
Cagr 35.77 Avg.Trade 2.8 Best.Day 35.8
Sharpe 1.35 Avg.Win 5.5 Worst.Day -17.1
DVR 1.11 Avg.Loss -3.7 Win.Percent.Month 70.6
Volatility 23.81 Best.Trade 35.78 Best.Month 35.8
MaxDD -17.05 Worst.Trade -17.05 Worst.Month -17.1
AvgDD -5.58 WinLoss.Ratio 1.48 Win.Percent.Year 95.7
VaR -5.97 Avg.Len 1 Best.Year 131.4
CVaR -10.73 Num.Trades 261 Worst.Year 0.4
Exposure 95.26
Roll.TwelveM 97.2

Now try the VAA G4 T2 B1 model

## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04   0   0   0   0   0   0   0 100
## 
## Performance summary :
##  CAGR    Best    Worst   
##  13.9    15.5    -8.6    
System Trade Period
Period Apr1996 - Jan2019 Win.Percent 70.9 Win.Percent.Day 67.9
Cagr 13.93 Avg.Trade 0.8 Best.Day 15.5
Sharpe 1.32 Avg.Win 1.7 Worst.Day -8.6
DVR 1.23 Avg.Loss -1.3 Win.Percent.Month 67.9
Volatility 10.23 Best.Trade 8.94 Best.Month 15.5
MaxDD -12.21 Worst.Trade -5.2 Worst.Month -8.6
AvgDD -2.81 WinLoss.Ratio 1.29 Win.Percent.Year 91.7
VaR -3.11 Avg.Len 1 Best.Year 47.4
CVaR -5.13 Num.Trades 374 Worst.Year -0.3
Exposure 95.26
Roll.TwelveM 97.3180076628352

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1996 "   NA" "   NA" "   NA" "   NA" "  0.0" "  0.0" "  0.0" "  0.0"
## 1997 "  0.0" "  0.0" "  0.0" "  0.0" "  1.0" "  4.9" "  4.8" " -7.1"
## 1998 "  1.2" " -0.3" "  4.2" "  0.8" " -1.6" "  1.4" " -0.7" "  3.2"
## 1999 "  1.8" " -3.7" "  0.7" "  9.6" " -4.6" "  0.2" "  0.1" "  0.1"
## 2000 " -0.2" "  0.8" "  0.7" " -4.2" "  0.3" "  1.3" " -1.8" "  1.5"
## 2001 "  1.3" "  1.2" " -0.1" " -1.2" " -1.0" "  0.5" "  3.9" "  1.8"
## 2002 "  0.7" "  1.2" " -3.2" "  1.6" "  1.0" "  1.7" "  2.4" "  2.5"
## 2003 " -0.8" "  2.0" " -0.4" "  2.4" "  5.7" "  4.3" "  5.1" "  0.0"
## 2004 "  2.4" "  3.3" "  0.4" " -5.5" "  0.0" "  0.0" "  0.3" "  3.1"
## 2005 " -0.9" "  6.8" " -4.9" "  0.5" "  1.8" "  1.8" "  3.0" "  1.5"
## 2006 "  9.2" " -1.4" "  2.2" "  0.2" "  0.2" "  0.2" "  0.7" "  2.1"
## 2007 "  0.5" " -1.1" "  1.4" "  3.9" "  4.9" "  0.5" "  0.9" "  2.3"
## 2008 "  3.4" "  1.2" "  1.3" " -2.4" "  1.5" "  0.2" "  0.7" "  1.5"
## 2009 " -1.8" " -5.2" "  3.3" " -2.7" " 15.5" " -2.1" " 10.7" "  1.9"
## 2010 "  1.2" "  0.5" "  7.1" "  0.7" " -8.6" "  3.0" "  0.9" " -3.1"
## 2011 "  0.1" "  3.6" " -1.2" "  3.2" " -2.8" " -1.3" " -2.2" "  4.7"
## 2012 "  2.1" "  4.9" "  0.4" " -1.5" "  2.9" " -0.4" "  0.7" " -0.1"
## 2013 " -1.3" "  0.1" "  2.4" "  1.5" " -0.3" " -0.1" "  0.2" " -0.1"
## 2014 "  1.9" "  1.1" "  0.3" "  0.8" "  2.0" "  2.6" "  0.0" "  3.9"
## 2015 "  4.3" " -2.5" "  0.2" " -0.6" "  0.0" "  0.0" "  0.0" "  0.1"
## 2016 "  0.7" "  1.5" " -0.1" "  0.7" " -1.8" "  3.1" "  1.3" "  0.5"
## 2017 "  0.1" "  0.0" "  1.5" "  0.2" "  2.2" "  0.7" "  4.1" "  1.5"
## 2018 "  7.1" " -0.1" "  0.2" " -0.2" "  0.4" "  0.2" " -0.1" "  0.0"
## 2019 "  0.2" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  1.4" "  0.6" "  0.7" "  0.3" "  0.8" "  1.0" "  1.5" "  0.9"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1996 "  0.0" "  0.0" "  0.0" "  0.0" "  0.0" "  0.0"
## 1997 "  0.8" " -6.2" "  0.7" "  1.7" " -0.3" "-12.2"
## 1998 "  3.6" " -0.8" "  5.7" "  1.4" " 19.3" " -1.6"
## 1999 "  0.8" "  0.3" "  3.0" " 11.9" " 20.9" " -4.6"
## 2000 " -2.3" "  0.9" "  2.2" "  2.4" "  1.3" " -5.2"
## 2001 " -0.9" "  2.2" " -2.2" " -0.3" "  5.2" " -2.5"
## 2002 "  3.9" " -1.3" " -2.1" " -4.4" "  3.8" " -7.6"
## 2003 "  4.5" "  7.8" "  1.6" "  7.8" " 47.4" " -0.8"
## 2004 "  2.9" "  2.8" "  8.7" "  4.9" " 25.0" " -5.5"
## 2005 "  6.5" " -0.1" "  0.4" "  5.8" " 24.0" " -4.9"
## 2006 "  0.7" "  4.2" "  5.5" "  3.6" " 30.3" " -1.4"
## 2007 "  7.3" "  8.7" " -6.1" "  0.1" " 24.7" " -6.1"
## 2008 " -0.1" "  1.1" "  1.1" "  5.2" " 15.6" " -2.4"
## 2009 "  3.8" " -2.6" "  5.6" "  2.5" " 30.7" " -6.9"
## 2010 "  0.0" "  3.6" " -3.9" "  7.2" "  8.0" " -8.6"
## 2011 "  2.2" " -1.3" " -1.0" "  2.0" "  5.6" " -6.3"
## 2012 "  1.1" " -1.3" "  2.0" "  5.7" " 17.5" " -1.5"
## 2013 "  0.2" "  3.8" "  1.8" "  0.2" "  8.7" " -1.3"
## 2014 " -4.3" "  0.3" "  1.3" "  0.1" " 10.3" " -4.3"
## 2015 "  1.6" " -0.6" " -0.2" " -1.1" "  1.2" " -3.0"
## 2016 "  1.0" " -1.0" " -0.5" "  0.1" "  5.5" " -1.8"
## 2017 "  1.0" "  2.1" "  1.4" "  1.5" " 17.5" "  0.0"
## 2018 " -1.2" " -2.0" "  0.4" "  2.8" "  7.4" " -3.3"
## 2019 "   NA" "   NA" "   NA" "   NA" "  0.2" "  0.0"
## Avg  "  1.4" "  0.9" "  1.1" "  2.6" " 13.7" " -3.8"

Now try the VAA G4 T3 B1 model

## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04   0   0   0   0   0   0   0 100
## 
## Performance summary :
##  CAGR    Best    Worst   
##  12.7    12.2    -9.8    
System Trade Period
Period Apr1996 - Jan2019 Win.Percent 71.3 Win.Percent.Day 67.2
Cagr 12.73 Avg.Trade 0.6 Best.Day 12.2
Sharpe 1.34 Avg.Win 1.2 Worst.Day -9.8
DVR 1.24 Avg.Loss -1 Win.Percent.Month 67.2
Volatility 9.21 Best.Trade 5.96 Best.Month 12.2
MaxDD -12.4 Worst.Trade -5.2 Worst.Month -9.8
AvgDD -2.75 WinLoss.Ratio 1.2 Win.Percent.Year 87.5
VaR -3.09 Avg.Len 1 Best.Year 42.3
CVaR -4.71 Num.Trades 487 Worst.Year -2.3
Exposure 95.26
Roll.TwelveM 94.2528735632184

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1996 "   NA" "   NA" "   NA" "   NA" "  0.0" "  0.0" "  0.0" "  0.0"
## 1997 "  0.0" "  0.0" "  0.0" "  0.0" "  1.0" "  4.6" "  3.7" " -9.8"
## 1998 "  1.2" " -0.3" "  4.0" "  0.7" " -5.3" "  1.4" " -0.7" "  3.2"
## 1999 "  1.5" " -3.7" "  0.7" "  8.1" " -3.8" "  0.2" "  0.1" "  0.1"
## 2000 " -0.2" "  0.8" "  0.7" " -5.3" "  0.3" "  1.3" " -2.9" "  1.5"
## 2001 "  1.3" "  1.2" " -0.1" " -1.2" " -0.4" "  0.5" "  3.9" "  1.8"
## 2002 " -1.1" "  1.2" " -3.2" "  1.6" "  1.0" "  1.7" "  2.4" "  2.5"
## 2003 " -0.8" "  2.0" " -0.4" "  2.4" "  5.9" "  3.3" "  4.0" "  0.0"
## 2004 "  2.2" "  2.7" " -0.2" " -4.2" "  0.0" "  0.0" "  0.3" "  3.1"
## 2005 " -1.4" "  4.3" " -3.8" "  0.5" "  1.8" "  1.4" "  3.2" "  1.5"
## 2006 "  7.0" " -0.9" "  1.9" "  0.2" "  0.2" "  0.2" "  0.7" "  2.2"
## 2007 "  0.8" " -1.4" "  2.4" "  4.0" "  4.4" "  0.5" "  0.9" "  2.3"
## 2008 "  3.4" "  1.2" "  1.3" " -2.4" "  1.4" "  0.2" "  0.7" "  1.5"
## 2009 " -1.8" " -5.2" "  3.3" " -2.7" " 12.2" " -1.4" "  9.7" "  2.5"
## 2010 "  1.2" "  0.5" "  6.8" " -0.5" " -5.3" "  3.0" "  0.9" " -3.6"
## 2011 "  0.1" "  2.3" "  1.0" "  4.2" " -2.3" " -1.3" " -1.7" "  4.7"
## 2012 "  2.1" "  4.9" "  0.3" " -1.7" "  2.9" " -0.4" "  0.9" " -0.1"
## 2013 " -1.3" "  0.1" "  1.2" "  1.5" " -1.9" " -0.1" "  0.2" " -0.1"
## 2014 "  1.9" "  1.1" "  1.7" "  1.1" "  2.4" "  2.1" " -0.8" "  3.0"
## 2015 "  4.3" " -2.5" "  0.2" " -0.6" "  0.0" "  0.0" "  0.0" "  0.1"
## 2016 "  0.7" "  1.5" " -0.1" "  1.2" " -0.6" "  3.1" "  1.3" "  0.4"
## 2017 "  0.1" "  0.0" "  2.0" "  0.2" "  1.9" "  0.7" "  3.4" "  1.1"
## 2018 "  6.3" " -0.1" "  0.2" " -0.2" "  0.4" "  0.2" " -0.1" "  0.0"
## 2019 "  0.2" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  1.2" "  0.4" "  0.9" "  0.3" "  0.7" "  0.9" "  1.3" "  0.8"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1996 "  0.0" "  0.0" "  0.0" "  0.0" "  0.0" "  0.0"
## 1997 "  0.8" " -3.7" "  0.7" "  1.7" " -1.8" "-12.4"
## 1998 "  3.6" " -0.8" "  5.9" "  2.0" " 15.5" " -5.3"
## 1999 "  0.8" "  0.3" "  4.7" "  9.9" " 19.6" " -3.8"
## 2000 " -3.6" "  0.9" "  2.2" "  2.4" " -2.3" " -8.6"
## 2001 " -0.9" "  2.2" " -2.2" " -0.3" "  5.8" " -2.5"
## 2002 "  3.9" " -1.3" " -2.1" " -2.2" "  4.3" " -5.4"
## 2003 "  4.5" "  7.1" "  1.4" "  6.9" " 42.3" " -0.8"
## 2004 "  2.9" "  2.1" "  7.1" "  4.4" " 21.8" " -4.4"
## 2005 "  4.0" " -0.1" "  0.4" "  3.9" " 16.5" " -3.8"
## 2006 "  1.3" "  4.1" "  4.3" "  2.8" " 26.5" " -0.9"
## 2007 "  5.1" "  6.3" " -5.5" "  0.1" " 21.1" " -5.5"
## 2008 " -0.1" "  1.1" "  1.1" "  5.2" " 15.5" " -2.4"
## 2009 "  5.9" " -2.4" "  5.8" "  2.0" " 29.7" " -6.9"
## 2010 "  0.0" "  3.6" " -2.6" "  7.6" " 11.6" " -5.8"
## 2011 "  2.2" " -1.3" " -1.4" "  2.0" "  8.6" " -5.2"
## 2012 "  1.1" " -0.5" "  1.3" "  4.1" " 15.9" " -1.7"
## 2013 "  0.2" "  4.0" "  0.9" "  0.2" "  4.9" " -2.0"
## 2014 " -3.0" "  0.3" "  1.3" "  0.1" " 11.5" " -3.0"
## 2015 "  1.6" " -0.6" " -0.2" " -1.1" "  1.2" " -3.0"
## 2016 "  1.2" " -1.3" " -0.5" "  0.1" "  7.2" " -1.8"
## 2017 "  1.4" "  2.2" "  1.2" "  2.2" " 17.7" "  0.0"
## 2018 " -1.2" " -2.0" "  0.4" "  2.8" "  6.6" " -3.3"
## 2019 "   NA" "   NA" "   NA" "   NA" "  0.2" "  0.0"
## Avg  "  1.4" "  0.9" "  1.1" "  2.5" " 12.5" " -3.7"

Now try with 6 month top asset VAA G4 T1 B1 model

## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04   0   0   0   0   0   0   0 100
## 
## Performance summary :
##  CAGR    Best    Worst   
##  15.1    17.9    -8.5    
System Trade Period
Period Apr1996 - Jan2019 Win.Percent 71.6 Win.Percent.Day 68.2
Cagr 15.13 Avg.Trade 1.3 Best.Day 17.9
Sharpe 1.26 Avg.Win 2.5 Worst.Day -8.5
DVR 1.17 Avg.Loss -1.9 Win.Percent.Month 68.2
Volatility 11.7 Best.Trade 17.89 Best.Month 17.9
MaxDD -8.71 Worst.Trade -8.53 Worst.Month -8.5
AvgDD -2.89 WinLoss.Ratio 1.36 Win.Percent.Year 87.5
VaR -2.89 Avg.Len 1 Best.Year 48.6
CVaR -5.52 Num.Trades 261 Worst.Year -2.2
Exposure 95.26
Roll.TwelveM 95.4022988505747

##      Jan    Feb    Mar    Apr    May    Jun    Jul    Aug    Sep    Oct   
## 1996 "  NA" "  NA" "  NA" "  NA" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 0.7" " 4.5" " 8.0" "-5.6" " 2.5" "-3.4"
## 1998 " 1.2" "-0.3" " 5.1" " 1.0" "-1.7" " 1.4" "-0.7" " 1.0" " 3.6" "-0.8"
## 1999 " 4.2" "-3.1" " 0.7" "15.4" "-4.2" " 0.2" " 0.1" " 0.1" " 0.8" " 0.3"
## 2000 "-0.2" " 0.8" " 0.7" "-7.5" " 0.3" " 1.3" " 0.9" " 1.6" "-5.3" " 0.9"
## 2001 " 1.3" " 1.2" "-0.1" "-1.4" " 0.7" " 0.5" " 1.4" " 1.8" "-0.9" " 2.2"
## 2002 " 0.8" " 1.2" "-0.8" " 2.7" " 0.6" " 0.9" " 2.4" " 2.5" " 3.9" "-1.3"
## 2003 "-0.8" " 2.0" " 0.1" " 2.4" " 6.4" "-0.1" " 7.0" " 1.5" " 4.5" " 9.1"
## 2004 " 3.1" " 4.2" " 0.4" "-7.9" "-0.5" " 0.1" " 0.3" " 0.7" " 0.2" " 0.8"
## 2005 "-0.1" " 8.9" "-6.8" " 1.6" " 0.6" " 3.5" " 7.0" " 2.0" " 8.2" "-1.2"
## 2006 "11.6" "-2.1" " 1.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.5" " 0.2" " 3.3"
## 2007 " 0.1" "-2.3" " 4.3" " 3.8" " 6.7" " 0.5" " 0.9" " 2.3" " 9.8" "13.0"
## 2008 " 3.4" " 1.2" " 1.3" "-2.4" "-1.0" " 0.2" " 0.7" " 0.5" "-0.1" " 1.1"
## 2009 "-3.9" "-0.7" " 3.3" "-2.7" "17.9" "-2.5" "10.9" "-0.7" "10.0" "-2.4"
## 2010 " 1.2" " 0.5" " 8.2" " 1.6" "-8.0" " 3.0" " 0.9" "-2.6" " 0.0" " 3.1"
## 2011 " 0.0" " 3.5" " 0.0" " 2.9" "-1.2" "-1.2" "-2.1" " 4.7" " 2.2" "-1.3"
## 2012 " 0.9" " 0.0" " 3.3" "-0.6" " 0.8" " 0.9" " 1.2" "-0.1" " 1.1" "-0.1"
## 2013 "-1.3" " 0.1" " 1.2" " 0.1" "-3.0" "-0.1" " 0.2" "-0.1" " 0.2" " 3.2"
## 2014 " 1.9" " 1.1" " 0.9" " 0.7" " 2.3" " 2.1" "-1.4" " 3.8" "-7.2" " 1.5"
## 2015 " 4.3" "-2.5" " 0.9" "-0.6" "-0.4" "-1.6" " 0.0" " 0.0" " 0.3" "-0.6"
## 2016 " 3.3" " 1.5" "-0.1" " 0.4" " 0.0" " 3.1" " 1.3" " 0.8" " 2.0" " 0.3"
## 2017 " 0.1" " 0.0" " 0.1" " 0.2" " 1.4" " 0.6" " 5.3" " 3.0" "-0.5" " 1.8"
## 2018 " 8.6" "-2.2" " 0.2" "-0.2" " 0.4" " 0.0" "-0.1" " 0.3" "-1.2" " 0.2"
## 2019 " 0.2" "  NA" "  NA" "  NA" "  NA" "  NA" "  NA" "  NA" "  NA" "  NA"
## Avg  " 1.7" " 0.6" " 1.1" " 0.4" " 0.8" " 0.8" " 2.0" " 0.9" " 1.5" " 1.3"
##      Nov    Dec    Year   MaxDD 
## 1996 " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.7" " 1.7" " 8.6" "-6.5"
## 1998 " 0.5" " 5.8" "17.0" "-1.7"
## 1999 " 4.1" " 9.4" "30.1" "-4.2"
## 2000 " 2.2" " 2.6" "-2.2" "-8.7"
## 2001 "-2.2" "-1.3" " 3.2" "-3.5"
## 2002 "-2.1" " 2.3" "13.7" "-3.3"
## 2003 " 1.1" " 7.8" "48.6" "-0.8"
## 2004 "10.2" " 5.3" "17.1" "-8.4"
## 2005 " 0.4" " 6.5" "33.7" "-6.8"
## 2006 " 1.9" " 4.0" "25.9" "-2.1"
## 2007 "-8.5" " 0.1" "32.9" "-8.5"
## 2008 " 1.1" " 5.2" "11.5" "-3.4"
## 2009 " 7.2" " 3.1" "44.0" "-4.6"
## 2010 "-2.8" " 7.6" "12.3" "-8.0"
## 2011 "-0.1" " 2.0" " 9.7" "-4.4"
## 2012 " 0.1" " 4.2" "12.2" "-0.6"
## 2013 " 3.0" "-0.2" " 3.2" "-3.1"
## 2014 " 1.3" " 0.1" " 7.1" "-7.2"
## 2015 "-0.4" "-0.5" "-1.4" "-5.4"
## 2016 "-3.2" " 0.1" " 9.8" "-3.2"
## 2017 "-0.3" " 3.7" "16.4" "-0.5"
## 2018 " 0.4" " 0.8" " 7.0" "-2.7"
## 2019 "  NA" "  NA" " 0.2" " 0.0"
## Avg  " 0.6" " 3.1" "15.0" "-4.1"
symbol weight entry.date exit.date nhold entry.price exit.price return
[249,] VWO 100 2017-12-29 2018-01-31 33 44.7 48.52 8.56
[250,] LQD 100 2018-01-31 2018-02-28 28 115.82 113.23 -2.24
[251,] SHY 100 2018-02-28 2018-03-29 29 82.1 82.3 0.25
[252,] SHY 100 2018-03-29 2018-04-30 32 82.3 82.11 -0.23
[253,] SHY 100 2018-04-30 2018-05-31 31 82.11 82.39 0.35
[254,] SHY 100 2018-05-31 2018-06-29 29 82.39 82.43 0.04
[255,] SHY 100 2018-06-29 2018-07-31 32 82.43 82.38 -0.06
[256,] SHY 100 2018-07-31 2018-08-31 31 82.38 82.67 0.35
[257,] IEF 100 2018-08-31 2018-09-28 28 101.56 100.33 -1.21
[258,] SHY 100 2018-09-28 2018-10-31 33 82.55 82.67 0.15
[259,] SHY 100 2018-10-31 2018-11-30 30 82.67 82.99 0.38
[260,] SHY 100 2018-11-30 2018-12-31 31 82.99 83.62 0.76
[261,] IEF 100 2018-12-31 2019-01-04 4 104.2 104.4 0.19

Now try the DAA canary universe

## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04   0   0   0   0   0   0   0 100
## 
## Performance summary :
##  CAGR    Best    Worst   
##  16.2    17.9    -9  
System Trade Period
Period Apr1996 - Jan2019 Win.Percent 69.3 Win.Percent.Day 66.1
Cagr 16.24 Avg.Trade 1.4 Best.Day 17.9
Sharpe 1.2 Avg.Win 3 Worst.Day -9
DVR 1.11 Avg.Loss -2.2 Win.Percent.Month 66.1
Volatility 13.22 Best.Trade 17.89 Best.Month 17.9
MaxDD -20.14 Worst.Trade -9.02 Worst.Month -9
AvgDD -3.6 WinLoss.Ratio 1.36 Win.Percent.Year 87.5
VaR -3.68 Avg.Len 1 Best.Year 60.3
CVaR -6.94 Num.Trades 261 Worst.Year -5.9
Exposure 95.26
Roll.TwelveM 92.72030651341

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1996 "   NA" "   NA" "   NA" "   NA" "  0.0" "  0.0" "  0.0" "  0.0"
## 1997 "  0.0" "  0.0" "  0.0" "  0.0" "  1.0" "  4.5" "  8.0" " -5.6"
## 1998 "  1.2" " -0.3" "  5.1" "  1.0" " -1.7" "  1.4" " -0.7" "  3.2"
## 1999 "  4.2" " -3.7" "  0.7" " 15.4" " -4.2" "  0.2" "  0.1" "  0.1"
## 2000 " -0.2" "  0.8" " -1.0" " -3.0" "  0.3" "  1.3" "  0.9" "  1.5"
## 2001 "  1.3" " -8.7" " -0.1" " -1.2" "  1.6" "  0.5" "  3.9" "  1.8"
## 2002 "  2.9" "  2.7" "  4.5" "  1.6" " -0.4" " -8.2" "  2.4" "  2.5"
## 2003 " -0.8" "  1.4" " -0.4" "  2.4" "  6.2" "  5.9" "  7.0" "  0.0"
## 2004 "  3.1" "  4.2" "  0.4" " -7.9" "  0.0" "  0.0" "  0.3" "  3.1"
## 2005 " -0.1" "  8.9" " -6.8" "  0.5" "  1.1" "  3.5" "  7.0" "  1.5"
## 2006 " 11.6" " -2.1" "  1.2" "  0.2" "  0.2" "  0.2" "  0.7" "  2.5"
## 2007 "  0.1" " -2.3" "  2.8" "  3.8" "  3.1" "  0.5" "  0.9" "  0.0"
## 2008 " -9.0" "  1.2" " -3.7" " -2.4" "  1.8" "  0.2" "  0.7" "  1.5"
## 2009 " -1.8" " -5.2" "  3.3" " 17.4" " 17.9" " -2.5" " 10.9" " -0.7"
## 2010 "  1.2" "  0.3" "  8.2" " -0.2" " -8.0" "  3.0" "  0.9" " -2.6"
## 2011 "  0.1" "  3.5" " -2.5" "  3.4" " -2.7" " -1.7" " -2.4" "  4.7"
## 2012 "  2.1" "  5.4" "  3.3" " -0.6" "  2.9" " -0.4" "  1.2" " -0.1"
## 2013 " -1.3" "  0.1" "  3.6" "  1.5" " -3.0" " -0.1" "  0.2" " -0.1"
## 2014 "  1.9" "  1.1" " -0.4" "  0.7" "  2.3" "  3.2" "  1.4" "  3.8"
## 2015 "  4.3" " -2.5" "  0.2" " -0.6" "  0.0" "  0.0" "  0.0" "  0.1"
## 2016 "  0.7" "  1.5" " -0.1" "  1.0" " -3.2" "  3.1" "  5.1" "  0.8"
## 2017 "  0.1" "  0.0" "  0.1" "  0.2" "  3.4" "  0.6" "  2.9" "  3.0"
## 2018 "  8.6" " -0.1" "  0.2" " -2.8" "  0.4" "  0.2" " -0.1" "  0.0"
## 2019 "  0.2" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  1.3" "  0.3" "  0.9" "  1.4" "  0.8" "  0.7" "  2.2" "  0.9"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1996 "  0.0" "  0.0" "  0.0" "  0.0" "  0.0" "  0.0"
## 1997 "  0.8" " -3.4" "  0.7" "  1.7" "  7.1" " -8.1"
## 1998 "  3.6" " -0.8" "  6.1" "  5.8" " 26.2" " -1.7"
## 1999 "  0.8" "  3.7" "  2.0" " 14.3" " 37.0" " -4.2"
## 2000 " -5.3" "  0.9" "  2.2" "  2.4" "  0.4" " -5.4"
## 2001 " -0.9" "  2.2" " -2.2" "  7.8" "  5.2" " -9.9"
## 2002 "  3.9" " -1.3" "  6.2" " -2.6" " 14.0" " -8.6"
## 2003 "  4.5" "  9.1" "  1.1" "  7.8" " 53.2" " -0.8"
## 2004 "  5.6" "  2.3" " 10.2" "  5.3" " 28.7" " -7.9"
## 2005 "  8.2" " -0.1" "  0.4" "  6.5" " 33.7" " -6.8"
## 2006 "  0.2" "  3.3" "  7.3" "  4.0" " 32.6" " -2.1"
## 2007 "  9.8" " 13.0" " -8.5" "  0.8" " 24.8" " -8.5"
## 2008 " -0.1" "  1.1" "  1.1" "  5.2" " -3.0" "-13.4"
## 2009 "  3.9" " -2.4" "  7.2" "  3.1" " 60.3" " -6.9"
## 2010 "  0.0" "  3.1" " -2.8" "  6.9" "  9.5" " -8.2"
## 2011 "  2.2" " -1.3" " -0.3" "  2.0" "  4.7" " -6.6"
## 2012 "  1.1" " -0.6" "  2.7" "  4.2" " 23.3" " -0.6"
## 2013 "  0.2" "  3.2" "  3.0" "  0.2" "  7.6" " -3.1"
## 2014 " -7.2" "  0.3" "  2.8" "  0.1" " 10.0" " -7.2"
## 2015 "  1.6" " -0.6" " -0.2" " -1.1" "  1.2" " -3.0"
## 2016 "  2.0" "  0.3" " -0.5" "  0.1" " 11.1" " -3.2"
## 2017 " -0.5" "  1.8" " -0.3" "  1.3" " 13.3" " -0.5"
## 2018 " -1.2" " -2.0" "  0.4" " -8.8" " -5.9" "-13.5"
## 2019 "   NA" "   NA" "   NA" "   NA" "  0.2" "  0.0"
## Avg  "  1.5" "  1.4" "  1.7" "  2.9" " 16.5" " -5.4"
symbol weight entry.date exit.date nhold entry.price exit.price return
[238,] SHY 100 2017-01-31 2017-02-28 28 82.29 82.32 0.04
[239,] VOO 100 2017-02-28 2017-03-31 31 208.93 209.21 0.13
[240,] SHY 100 2017-03-31 2017-04-28 28 82.37 82.52 0.19
[241,] VEA 100 2017-04-28 2017-05-31 33 37.99 39.28 3.41
[242,] VEA 100 2017-05-31 2017-06-30 30 39.28 39.53 0.64
[243,] VEA 100 2017-06-30 2017-07-31 31 39.53 40.67 2.88
[244,] VWO 100 2017-07-31 2017-08-31 31 41.19 42.43 3
[245,] VWO 100 2017-08-31 2017-09-29 29 42.43 42.22 -0.5
[246,] VEA 100 2017-09-29 2017-10-31 32 41.7 42.44 1.77
[247,] VWO 100 2017-10-31 2017-11-30 30 43.25 43.1 -0.34
[248,] VOO 100 2017-11-30 2017-12-29 29 237.59 240.64 1.28
[249,] VWO 100 2017-12-29 2018-01-31 33 44.7 48.52 8.56
[250,] SHY 100 2018-01-31 2018-02-28 28 82.18 82.1 -0.1
[251,] SHY 100 2018-02-28 2018-03-29 29 82.1 82.3 0.25
[252,] VWO 100 2018-03-29 2018-04-30 32 45.83 44.56 -2.77
[253,] SHY 100 2018-04-30 2018-05-31 31 82.11 82.39 0.35
[254,] IEF 100 2018-05-31 2018-06-29 29 100.87 101.07 0.2
[255,] SHY 100 2018-06-29 2018-07-31 32 82.43 82.38 -0.06
[256,] LQD 100 2018-07-31 2018-08-31 31 113.62 113.64 0.02
[257,] IEF 100 2018-08-31 2018-09-28 28 101.56 100.33 -1.21
[258,] LQD 100 2018-09-28 2018-10-31 33 113.48 111.16 -2.05
[259,] SHY 100 2018-10-31 2018-11-30 30 82.67 82.99 0.38
[260,] VOO 100 2018-11-30 2018-12-31 31 252.12 229.81 -8.85
[261,] IEF 100 2018-12-31 2019-01-04 4 104.2 104.4 0.19

Now try with just a two asset safe portfolio

## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04   0   0   0   0   0   0   0 100
## 
## Performance summary :
##  CAGR    Best    Worst   
##  16  17.9    -9  
System Trade Period
Period Apr1996 - Jan2019 Win.Percent 70.5 Win.Percent.Day 67.2
Cagr 16 Avg.Trade 1.4 Best.Day 17.9
Sharpe 1.2 Avg.Win 2.9 Worst.Day -9
DVR 1.1 Avg.Loss -2.2 Win.Percent.Month 67.2
Volatility 13.11 Best.Trade 17.89 Best.Month 17.9
MaxDD -20.14 Worst.Trade -9.02 Worst.Month -9
AvgDD -3.58 WinLoss.Ratio 1.31 Win.Percent.Year 87.5
VaR -3.46 Avg.Len 1 Best.Year 64.3
CVaR -6.84 Num.Trades 261 Worst.Year -3.5
Exposure 95.26
Roll.TwelveM 93.4865900383142

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1996 "   NA" "   NA" "   NA" "   NA" "  0.0" "  0.0" "  0.0" "  0.0"
## 1997 "  0.0" "  0.0" "  0.0" "  0.0" "  0.8" "  4.5" "  8.0" " -5.6"
## 1998 "  1.7" " -0.4" "  5.1" "  1.0" " -1.7" "  1.0" "  0.2" "  3.2"
## 1999 "  4.2" " -3.1" "  0.7" " 15.4" " -4.2" "  0.2" "  0.1" "  0.1"
## 2000 " -0.2" "  0.8" " -1.0" " -3.0" "  0.3" "  1.3" "  0.9" "  1.6"
## 2001 "  1.3" " -8.7" "  0.5" " -1.2" "  1.6" "  0.5" "  1.4" "  1.1"
## 2002 "  2.9" "  2.7" "  4.5" "  1.6" " -0.4" " -8.2" "  2.4" "  2.5"
## 2003 " -0.8" "  1.4" " -0.4" "  0.1" "  6.2" "  5.9" "  7.0" "  0.0"
## 2004 "  3.1" "  4.2" "  0.4" " -7.9" "  0.0" "  0.0" "  0.3" "  2.8"
## 2005 " -0.1" "  8.9" " -6.8" "  0.5" "  1.1" "  3.5" "  7.0" "  0.7"
## 2006 " 11.6" " -2.1" "  1.2" "  0.2" "  0.2" "  0.2" "  0.7" "  2.5"
## 2007 "  0.1" " -2.3" "  2.8" "  3.8" "  3.1" "  0.5" "  0.9" "  0.0"
## 2008 " -9.0" "  1.2" " -3.7" " -2.4" "  1.8" "  0.2" "  0.7" "  1.5"
## 2009 " -3.9" " -0.7" "  3.3" " 17.4" " 17.9" " -2.5" " 10.9" " -0.7"
## 2010 "  0.8" "  0.3" "  8.2" " -0.2" " -8.0" "  3.0" "  0.9" " -2.6"
## 2011 "  0.1" "  3.5" " -2.5" "  3.4" " -2.7" " -1.7" " -2.4" "  4.7"
## 2012 "  0.9" "  5.4" "  3.3" " -0.6" "  2.9" " -0.4" "  1.2" " -0.1"
## 2013 "  0.0" "  0.1" "  3.6" "  1.5" " -3.0" " -0.1" "  0.2" " -0.1"
## 2014 "  0.2" "  0.4" " -0.4" "  0.7" "  2.3" "  3.2" "  1.4" "  3.8"
## 2015 "  4.3" " -2.5" "  0.2" " -0.6" "  0.0" "  0.0" "  0.0" "  0.1"
## 2016 "  0.7" "  1.5" " -0.1" "  1.0" " -3.2" "  3.1" "  5.1" "  0.8"
## 2017 "  0.1" "  0.0" "  0.1" "  0.2" "  3.4" "  0.6" "  2.9" "  3.0"
## 2018 "  8.6" " -0.1" "  0.2" " -2.8" "  0.4" "  0.2" " -0.1" "  0.3"
## 2019 "  0.2" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  1.2" "  0.5" "  0.9" "  1.3" "  0.8" "  0.7" "  2.2" "  0.9"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1996 "  0.0" "  0.0" "  0.0" "  0.0" "  0.0" "  0.0"
## 1997 "  0.8" " -3.4" "  0.3" "  1.1" "  6.0" " -8.1"
## 1998 "  3.6" " -0.8" "  6.1" "  5.8" " 27.4" " -1.7"
## 1999 "  0.8" "  3.7" "  2.0" " 14.3" " 37.9" " -4.2"
## 2000 " -5.3" "  0.9" "  2.2" "  2.4" "  0.6" " -5.3"
## 2001 "  2.4" "  2.2" " -2.3" "  7.8" "  6.1" " -9.3"
## 2002 "  3.9" " -1.3" "  6.2" " -2.6" " 14.0" " -8.6"
## 2003 "  1.0" "  9.1" "  1.1" "  7.8" " 44.8" " -0.8"
## 2004 "  5.6" "  2.3" " 10.2" "  5.3" " 28.4" " -7.9"
## 2005 "  8.2" " -0.1" "  0.4" "  6.5" " 32.6" " -6.8"
## 2006 "  0.2" "  3.3" "  7.3" "  4.0" " 32.6" " -2.1"
## 2007 "  9.8" " 13.0" " -8.5" "  0.8" " 24.8" " -8.5"
## 2008 " -0.1" "  1.1" "  1.1" "  5.2" " -3.0" "-13.4"
## 2009 "  3.9" " -2.4" "  7.2" "  3.1" " 64.3" " -4.6"
## 2010 "  0.0" "  3.1" " -2.8" "  6.9" "  9.0" " -8.2"
## 2011 "  2.2" " -1.3" " -0.3" "  2.0" "  4.7" " -6.6"
## 2012 " -0.3" " -0.6" "  2.7" "  4.2" " 19.9" " -1.0"
## 2013 "  0.2" "  3.2" "  3.0" " -0.2" "  8.6" " -3.1"
## 2014 " -7.2" "  0.3" "  2.8" "  0.1" "  7.4" " -7.2"
## 2015 "  1.6" " -0.6" " -0.4" " -0.5" "  1.6" " -2.8"
## 2016 "  2.0" "  0.3" " -0.5" "  0.1" " 11.1" " -3.2"
## 2017 " -0.5" "  1.8" " -0.3" "  1.3" " 13.3" " -0.5"
## 2018 " -1.2" "  0.2" "  0.4" " -8.8" " -3.5" "-11.2"
## 2019 "   NA" "   NA" "   NA" "   NA" "  0.2" "  0.0"
## Avg  "  1.4" "  1.5" "  1.6" "  2.9" " 16.2" " -5.2"
symbol weight entry.date exit.date nhold entry.price exit.price return
[238,] SHY 100 2017-01-31 2017-02-28 28 82.29 82.32 0.04
[239,] VOO 100 2017-02-28 2017-03-31 31 208.93 209.21 0.13
[240,] SHY 100 2017-03-31 2017-04-28 28 82.37 82.52 0.19
[241,] VEA 100 2017-04-28 2017-05-31 33 37.99 39.28 3.41
[242,] VEA 100 2017-05-31 2017-06-30 30 39.28 39.53 0.64
[243,] VEA 100 2017-06-30 2017-07-31 31 39.53 40.67 2.88
[244,] VWO 100 2017-07-31 2017-08-31 31 41.19 42.43 3
[245,] VWO 100 2017-08-31 2017-09-29 29 42.43 42.22 -0.5
[246,] VEA 100 2017-09-29 2017-10-31 32 41.7 42.44 1.77
[247,] VWO 100 2017-10-31 2017-11-30 30 43.25 43.1 -0.34
[248,] VOO 100 2017-11-30 2017-12-29 29 237.59 240.64 1.28
[249,] VWO 100 2017-12-29 2018-01-31 33 44.7 48.52 8.56
[250,] SHY 100 2018-01-31 2018-02-28 28 82.18 82.1 -0.1
[251,] SHY 100 2018-02-28 2018-03-29 29 82.1 82.3 0.25
[252,] VWO 100 2018-03-29 2018-04-30 32 45.83 44.56 -2.77
[253,] SHY 100 2018-04-30 2018-05-31 31 82.11 82.39 0.35
[254,] IEF 100 2018-05-31 2018-06-29 29 100.87 101.07 0.2
[255,] SHY 100 2018-06-29 2018-07-31 32 82.43 82.38 -0.06
[256,] SHY 100 2018-07-31 2018-08-31 31 82.38 82.67 0.35
[257,] IEF 100 2018-08-31 2018-09-28 28 101.56 100.33 -1.21
[258,] SHY 100 2018-09-28 2018-10-31 33 82.55 82.67 0.15
[259,] SHY 100 2018-10-31 2018-11-30 30 82.67 82.99 0.38
[260,] VOO 100 2018-11-30 2018-12-31 31 252.12 229.81 -8.85
[261,] IEF 100 2018-12-31 2019-01-04 4 104.2 104.4 0.19

…and using T3 like in the paper

## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04   0   0   0   0   0   0   0 100
## 
## Performance summary :
##  CAGR    Best    Worst   
##  12.5    12.2    -9.8    
System Trade Period
Period Apr1996 - Jan2019 Win.Percent 70.4 Win.Percent.Day 67.2
Cagr 12.47 Avg.Trade 0.5 Best.Day 12.2
Sharpe 1.28 Avg.Win 1.2 Worst.Day -9.8
DVR 1.16 Avg.Loss -1 Win.Percent.Month 67.2
Volatility 9.56 Best.Trade 5.96 Best.Month 12.2
MaxDD -12.64 Worst.Trade -5.03 Worst.Month -9.8
AvgDD -2.95 WinLoss.Ratio 1.18 Win.Percent.Year 87.5
VaR -3.57 Avg.Len 1 Best.Year 49.2
CVaR -4.89 Num.Trades 533 Worst.Year -2.8
Exposure 95.26
Roll.TwelveM 90.0383141762452

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1996 "   NA" "   NA" "   NA" "   NA" "  0.0" "  0.0" "  0.0" "  0.0"
## 1997 "  0.0" "  0.0" "  0.0" "  0.0" "  0.8" "  4.6" "  3.7" " -9.8"
## 1998 "  1.7" " -0.4" "  4.0" "  0.7" " -5.3" "  1.0" "  0.2" "  3.2"
## 1999 "  1.5" " -3.1" "  0.7" "  8.1" " -3.8" "  0.2" "  0.1" "  0.1"
## 2000 " -0.2" "  0.8" "  1.3" " -5.3" "  0.3" "  1.3" " -2.9" "  1.6"
## 2001 "  1.3" " -5.6" "  0.5" " -1.2" " -0.4" " -1.4" "  1.4" "  1.1"
## 2002 " -1.1" "  0.5" "  2.9" "  1.6" "  0.5" " -4.1" "  2.4" "  2.5"
## 2003 " -0.8" " -1.4" " -0.4" "  0.1" "  5.9" "  3.3" "  4.0" "  0.0"
## 2004 "  2.2" "  2.7" " -0.2" " -4.2" "  0.0" "  0.0" "  0.3" "  2.8"
## 2005 " -1.4" "  4.3" " -3.8" "  0.5" "  1.3" "  1.4" "  3.2" "  0.7"
## 2006 "  7.0" " -0.9" "  1.9" "  0.2" "  0.2" "  0.2" "  0.7" "  2.2"
## 2007 "  0.8" " -1.4" "  2.4" "  4.0" "  4.4" "  0.5" "  0.9" "  0.5"
## 2008 " -4.6" "  1.2" " -1.0" " -2.4" "  1.4" "  0.2" "  0.7" "  1.5"
## 2009 " -3.9" " -0.7" "  3.3" "  9.2" " 12.2" " -1.4" "  9.7" "  2.5"
## 2010 "  0.8" "  1.8" "  6.8" " -0.5" " -5.3" "  3.0" "  0.9" " -3.6"
## 2011 "  0.1" "  2.3" "  1.0" "  4.2" " -2.3" " -1.3" " -1.7" "  4.7"
## 2012 "  0.9" "  4.9" "  0.3" " -1.7" "  2.9" " -0.4" "  0.9" " -0.1"
## 2013 "  0.0" "  0.1" "  1.2" "  1.5" " -1.9" " -0.1" "  0.2" " -0.1"
## 2014 "  0.2" "  0.4" "  1.7" "  1.1" "  2.4" "  2.1" " -0.8" "  3.0"
## 2015 "  4.3" " -2.5" "  0.2" " -0.6" "  0.0" "  0.0" "  0.0" "  0.1"
## 2016 "  0.7" "  1.5" " -0.1" "  1.2" " -0.6" "  3.1" "  3.1" "  0.4"
## 2017 "  0.1" "  0.0" "  2.0" "  0.2" "  1.9" "  0.7" "  3.4" "  1.1"
## 2018 "  6.3" " -0.1" "  0.2" " -0.8" "  0.4" "  0.2" " -0.1" "  0.3"
## 2019 "  0.2" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  0.7" "  0.2" "  1.1" "  0.7" "  0.7" "  0.6" "  1.3" "  0.6"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1996 "  0.0" "  0.0" "  0.0" "  0.0" "  0.0" "  0.0"
## 1997 "  0.8" " -3.7" "  0.3" "  1.1" " -2.8" "-12.4"
## 1998 "  3.6" " -0.8" "  5.9" "  2.0" " 16.6" " -5.3"
## 1999 "  0.8" "  2.6" "  4.7" "  9.9" " 23.2" " -3.8"
## 2000 " -3.6" "  0.9" "  2.2" "  2.4" " -1.6" " -8.4"
## 2001 "  2.4" "  2.2" " -2.3" "  2.7" "  0.4" " -7.9"
## 2002 "  3.9" " -1.3" "  4.1" " -2.2" " 10.0" " -4.1"
## 2003 "  1.0" "  7.1" "  1.4" "  6.9" " 30.0" " -2.5"
## 2004 "  2.9" "  2.1" "  7.1" "  4.4" " 21.5" " -4.4"
## 2005 "  4.0" " -0.1" "  0.4" "  3.9" " 15.0" " -3.8"
## 2006 "  1.3" "  4.1" "  4.3" "  2.8" " 26.5" " -0.9"
## 2007 "  5.1" "  6.3" " -5.5" " -1.0" " 17.7" " -6.4"
## 2008 " -0.1" "  1.1" "  1.1" "  5.2" "  4.2" " -6.7"
## 2009 "  5.9" " -2.4" "  5.8" "  2.0" " 49.2" " -4.6"
## 2010 "  7.0" "  3.6" " -2.6" "  7.6" " 20.4" " -5.8"
## 2011 "  2.2" " -1.3" " -1.4" "  2.0" "  8.6" " -5.2"
## 2012 " -0.3" " -0.5" "  1.3" "  4.1" " 12.7" " -1.7"
## 2013 "  0.2" "  4.0" "  0.9" " -0.2" "  5.8" " -2.0"
## 2014 " -3.0" "  0.3" "  0.8" "  0.1" "  8.4" " -3.0"
## 2015 "  1.6" " -0.6" " -0.4" " -0.5" "  1.6" " -2.8"
## 2016 "  1.2" " -1.3" " -0.5" "  0.1" "  9.2" " -1.8"
## 2017 "  1.4" "  2.2" "  1.2" "  2.2" " 17.7" "  0.0"
## 2018 " -1.2" "  0.2" "  0.4" " -3.4" "  2.1" " -4.1"
## 2019 "   NA" "   NA" "   NA" "   NA" "  0.2" "  0.0"
## Avg  "  1.6" "  1.1" "  1.3" "  2.3" " 12.4" " -4.1"

Try adding TLT back in lets use the T2 B1

## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04   0   0   0   0   0 100   0   0
## 
## Performance summary :
##  CAGR    Best    Worst   
##  14.7    15.5    -13.1   
System Trade Period
Period Apr1996 - Jan2019 Win.Percent 69.5 Win.Percent.Day 66.1
Cagr 14.71 Avg.Trade 0.9 Best.Day 15.5
Sharpe 1.2 Avg.Win 2 Worst.Day -13.1
DVR 1.07 Avg.Loss -1.6 Win.Percent.Month 66.1
Volatility 12.06 Best.Trade 13.65 Best.Month 15.5
MaxDD -13.71 Worst.Trade -13.07 Worst.Month -13.1
AvgDD -4.06 WinLoss.Ratio 1.24 Win.Percent.Year 91.7
VaR -3.99 Avg.Len 1 Best.Year 39.7
CVaR -6.07 Num.Trades 374 Worst.Year -0.9
Exposure 95.26
Roll.TwelveM 95.7854406130268

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1996 "   NA" "   NA" "   NA" "   NA" "  0.0" "  0.0" "  0.0" "  0.0"
## 1997 "  0.0" "  0.0" "  0.0" "  0.0" "  1.0" "  4.9" "  4.8" " -7.1"
## 1998 "  1.9" " -0.7" "  4.2" "  0.8" " -1.6" "  2.4" " -0.5" "  4.8"
## 1999 "  1.8" " -4.8" "  0.7" "  9.6" " -4.6" "  0.2" "  0.1" "  0.1"
## 2000 " -0.2" "  3.0" "  3.1" " -4.2" " -0.4" "  1.3" " -1.8" "  2.1"
## 2001 "  0.3" "  1.3" " -0.6" " -1.2" " -1.0" "  0.3" "  1.4" "  2.0"
## 2002 "  0.7" "  0.7" " -2.3" "  1.6" "  0.4" "  1.7" "  2.7" "  2.5"
## 2003 " -0.6" "  3.1" " -1.4" "  0.1" "  5.7" "  4.3" "  5.1" "  0.0"
## 2004 "  2.4" "  3.3" "  0.4" " -5.5" "  0.0" "  0.0" "  0.3" "  4.2"
## 2005 " -0.9" "  6.8" " -4.9" "  3.9" "  3.1" "  1.8" "  3.0" "  0.7"
## 2006 "  9.2" " -1.4" "  2.2" "  0.2" "  0.2" "  0.2" "  0.7" "  2.1"
## 2007 "  0.5" " -1.1" "  1.4" "  3.9" "  4.9" "  0.5" "  0.9" "  1.8"
## 2008 "  2.1" "  1.2" "  1.3" " -2.4" "  1.5" "  0.2" " -0.4" "  1.5"
## 2009 "-13.1" " -0.7" "  3.3" " -2.7" " 15.5" " -2.1" " 10.7" "  1.9"
## 2010 "  0.8" "  0.3" "  7.1" "  0.7" " -8.6" "  5.8" " -0.9" " -3.1"
## 2011 "  0.1" "  3.6" " -1.2" "  3.2" " -2.8" " -1.3" " -2.2" "  9.7"
## 2012 " -0.3" "  4.9" "  0.4" " -1.5" "  9.0" " -1.7" "  0.7" " -1.3"
## 2013 "  0.0" "  0.1" "  2.4" "  1.5" " -0.3" " -0.1" "  0.2" " -0.1"
## 2014 "  0.2" "  0.5" "  0.3" "  0.8" "  2.0" "  2.6" "  0.0" "  3.9"
## 2015 "  9.8" " -6.1" "  0.2" " -3.4" "  0.0" "  0.0" "  0.0" " -0.7"
## 2016 "  5.6" "  3.1" " -0.1" "  0.7" " -1.8" "  6.9" "  2.1" "  0.5"
## 2017 "  0.1" "  0.0" "  1.5" "  0.2" "  2.2" "  0.7" "  4.1" "  1.5"
## 2018 "  7.1" " -0.1" "  0.2" " -2.1" "  0.4" "  0.6" " -1.4" "  0.3"
## 2019 "  0.5" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  1.2" "  0.8" "  0.8" "  0.2" "  1.1" "  1.3" "  1.3" "  1.2"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1996 "  0.0" "  0.0" "  0.0" "  0.0" "  0.0" "  0.0"
## 1997 "  0.8" " -6.2" "  1.3" "  1.7" "  0.4" "-12.2"
## 1998 "  3.3" " -1.7" "  5.7" "  1.4" " 21.3" " -1.7"
## 1999 "  0.8" "  0.3" "  3.0" " 11.9" " 19.5" " -4.8"
## 2000 " -2.3" "  0.9" "  3.0" "  2.5" "  6.8" " -5.3"
## 2001 "  0.9" "  2.2" " -5.1" " -0.3" "  0.2" " -5.3"
## 2002 "  4.3" " -3.7" " -2.1" " -4.4" "  1.6" " -9.9"
## 2003 "  1.0" "  7.8" "  1.6" "  7.8" " 39.7" " -1.4"
## 2004 "  2.9" "  2.8" "  8.7" "  4.9" " 26.3" " -5.5"
## 2005 "  6.5" " -0.1" "  0.4" "  5.8" " 28.6" " -4.9"
## 2006 "  0.7" "  4.2" "  5.5" "  3.6" " 30.3" " -1.4"
## 2007 "  7.3" "  8.7" " -6.1" " -0.6" " 23.3" " -6.7"
## 2008 "  1.5" " -1.9" "  1.1" " 13.7" " 20.4" " -2.4"
## 2009 "  3.8" " -2.6" "  5.6" "  2.5" " 21.1" "-13.7"
## 2010 " -2.5" "  3.6" " -3.9" "  7.2" "  5.4" " -9.9"
## 2011 " 13.2" " -3.8" " -1.0" "  3.4" " 21.1" " -6.3"
## 2012 " -2.5" " -1.3" "  2.0" "  5.7" " 14.2" " -5.9"
## 2013 "  0.2" "  3.8" "  1.8" " -0.2" "  9.7" " -0.4"
## 2014 " -4.3" "  2.8" "  3.0" "  3.3" " 15.9" " -4.3"
## 2015 "  1.6" " -0.4" " -0.9" " -0.5" " -0.9" " -9.8"
## 2016 "  1.0" " -1.0" " -0.5" "  0.1" " 17.4" " -1.8"
## 2017 "  1.0" "  2.1" "  1.4" "  1.5" " 17.5" "  0.0"
## 2018 " -2.9" "  0.2" "  0.4" "  2.8" "  5.3" " -5.0"
## 2019 "   NA" "   NA" "   NA" "   NA" "  0.5" "  0.0"
## Avg  "  1.6" "  0.7" "  1.1" "  3.2" " 14.4" " -4.9"

Compare all portfolios

vaa.g4.t1.b1 vaa.g4.t1.b1.l1 vaa.g4.t2.b1 vaa.g4.t3.b1 vaa.g4.t1.b1.m6 daa.g4.t1.b1 daa.g4.t1.b1.c2 daa.g4.t3.b1.c2 vaa.g4.t2.b1.tlt
Period Apr1996 - Jan2019 Apr1996 - Jan2019 Apr1996 - Jan2019 Apr1996 - Jan2019 Apr1996 - Jan2019 Apr1996 - Jan2019 Apr1996 - Jan2019 Apr1996 - Jan2019 Apr1996 - Jan2019
Cagr 16.58 33.95 13.93 12.73 15.13 16.24 16 12.47 14.71
Sharpe 1.35 1.35 1.32 1.34 1.26 1.2 1.2 1.28 1.2
DVR 1.25 1.08 1.23 1.24 1.17 1.11 1.1 1.16 1.07
Volatility 11.91 23.81 10.23 9.21 11.7 13.22 13.11 9.56 12.06
MaxDD -8.53 -17.05 -12.21 -12.4 -8.71 -20.14 -20.14 -12.64 -13.71
AvgDD -2.8 -5.58 -2.81 -2.75 -2.89 -3.6 -3.58 -2.95 -4.06
VaR -2.99 -5.97 -3.11 -3.09 -2.89 -3.68 -3.46 -3.57 -3.99
CVaR -5.36 -10.73 -5.13 -4.71 -5.52 -6.94 -6.84 -4.89 -6.07
Exposure 95.26 95.26 95.26 95.26 95.26 95.26 95.26 95.26 95.26